An Empirical Analysis of Stein Effects in Regional Forecasts

Carol Taylor West and Henri Theil

Empirical Economics, 1991, vol. 16, issue 3, 363-73

Abstract: A Stein-like shrinking methodology is proposed for modifying sets of metropolitan area economic forecasts. The technique is applied to historical published quarterly forecasts of the twenty metropolitan statistical areas of Florida. Stein-like shrinking is found to yield modest improvement in accuracy as evaluated by three alternative criteria, but the gains diminish with length of forecast horizon.

Date: 1991
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